20 citations · 21 across the 3 of their papers we have counts for
3 papers
stat.ME2019★ 1 cited
Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
Jiahe Lin, George Michailidis
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present.…
stat.ME2019
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
Jiahe Lin, George Michailidis
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables and latent factors $…
stat.ME2017★ 20 cited
Regularized Estimation and Testing for High-Dimensional Multi-Block Vector-Autoregressive Models
Jiahe Lin, George Michailidis
Dynamical systems comprising of multiple components that can be partitioned into distinct blocks originate in many scientific areas. A pertinent example is the interactions between…